The show's executive producer Robert King has previously revealed that the duo's characters Eli and Kalinda will bond in upcoming episodes.
Cumming has now confirmed that the pair are spending some interesting moments together.
"Now I work in the firm, so [Kalinda and Eli] have a lot of scenes together," he told Entertainment Weekly. "In the first two seasons, I never did any scenes with Archie and I always wanted to. Now I do lots."
Cumming added: "We have a little frisson but so far it hasn't come to anything."
The actor also revealed that working with Parker Posey, who has signed up to play Eli's ex-wife, has been "hilarious".
Cumming joked: "Parker Posey is mad as cheese. I've done a few films with her. It's a nice combo."
The Good Wife will return for its third season on Sunday on CBS.
> The Good Wife's Alan Cumming teases Parker Posey role
Watch a trailer for the new season of The Good Wife below: